Which South African Miners Have the Highest Implied Volatilities?



Precious metal funds

Many of the fluctuations in precious metal prices have been a result of speculation about the Federal Reserve’s interest rate stance. In this article, let’s look at the fundamentals of South African precious metal miners.

Precious-metal-based funds such as the VanEck Vectors Junior Gold Miners Fund (GDXJ) and the iShares MSCI Global Gold Min (RING) have seen their returns fall in the past few months. The volatility of these funds also depends on the volatility of precious metals.

Let’s look at the implied volatilities of large mining stocks and their RSI (relative strength index) levels in the wake of the carnage in precious metal prices. We’ll look at South African mining stocks like Sibanye Gold (SBGL), Gold Fields (GFI), AngloGold Ashanti (AU), and Harmony Gold (HMY).

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Implied volatility

Call implied volatility takes into account the changes in an asset’s price due to variations in the price of its call option. During times of global and economic turbulence, volatility is higher than it is in a stagnant economy. The volatilities of Sibanye, Gold Fields, AngloGold, and Harmony were 65.6%, 70.9%, 51.6%, and 78.5%, respectively, at the end of November.


The RSIs (relative strength indexes) for each of these four mining giants also fell due to their falling share prices. Sibanye, Gold Fields, AngloGold, and Harmony saw RSI levels of 33.8, 37.3, 37.3, and 39.4, respectively. An RSI level above 70 indicates that a stock has been overbought and could fall. An RSI level below 30 indicates that a stock has been oversold and could rise. The trailing-30-day returns of most of the mining companies are negative due to the diminishing safe-haven appeal of precious metals.


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